EWP Options History — October 2011

In October 2011, EWP traded between $30.94 and $37.99. ATM implied volatility averaged 47.7%, placing in the 51.4% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 3.5% (HV 20d: 44.2%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 4.00.

Notable Days

  • 2011-10-12: Highest Volume — 2,794 contracts
  • 2011-10-13: Largest IV spike — 14.4% change
  • 2011-10-03: Highest IV Rank — 86.3%
  • 2011-10-03: Largest Expected Move — 19.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.72$30.94$37.99$30.94$35.24
Max Pain$33.95$33.00$35.00$34.00$35.00
ATM IV47.7%39.7%69.2%69.2%44.9%
Expected Move13.8%11.4%19.8%19.8%12.9%
HV 20d44.2%38.6%50.6%49.8%45.6%
HV 60d54.7%52.9%55.8%54.9%52.9%
IV Rank51.4%38.4%86.3%86.3%46.8%
IV Percentile82.4%71.4%98.8%98.8%78.2%
Term Structure-1.0%-7.1%1.8%-7.1%-2.1%
VWIV51.5%37.7%67.4%67.4%43.5%
Skew 25d14.8%3.7%24.5%20.6%10.1%
Skew 10d24.7%8.7%47.8%41.6%20.0%
Call IV 25d42.8%35.1%60.0%60.0%40.6%
Put IV 25d57.6%44.6%80.6%80.6%50.7%
Bid-Ask Spread %36.4517.7569.5759.4247.73
Gamma HHI0.320.160.870.390.24
Net GEX209.4K-161.6K1.8M-161.6K-3.4K
Net DEX-654.5K-7.9M7.4M7.4M-653.3K
Net VEX-27.7K-38.6K-18.7K-34.6K-25.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.000.0322.1622.160.08
Total Volume585.143612,7941,019719
Total OI10,545.8573,81613,93211,7265,752

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$30.94$34.0069.2%19.8%49.8%86.3%67.4%20.6%-7.1%-161.6K7.4M-34.6K22.1659.42N/AN/A449754,4837,243
2011-10-04$32.18$34.0063.2%18.1%50.0%76.7%66.4%23.3%-5.3%-156.0K6.3M-38.6K3.4861.17N/AN/A481674,4507,966
2011-10-05$32.71$34.0057.3%16.4%49.9%67.1%62.4%24.5%-2.8%-133.5K5.2M-38.0K2.4463.65N/AN/A39954,4517,979
2011-10-06$33.67$34.0052.0%14.9%50.6%58.4%57.0%22.6%0.1%-77.3K2.6M-36.8K2.3669.57N/AN/A22524,4707,986
2011-10-07$33.55$33.0051.0%14.4%45.4%56.8%52.9%13.6%-1.3%-68.0K2.5M-36.3K9.6018.67N/AN/A10964,4778,022
2011-10-10$34.75$33.0045.8%13.5%46.0%48.3%52.4%12.5%-1.5%-2.7K-891.6K-32.1K2.3917.75N/AN/A541294,4838,104
2011-10-11$34.86$33.0043.9%13.4%45.5%45.3%63.3%19.3%-1.0%23.3K-1.0M-31.8K0.0321.12N/AN/A605174,4838,079
2011-10-12$35.42$33.0040.3%13.3%44.7%39.4%49.5%15.2%-0.3%206.9K-4.5M-29.2K1.6125.17N/AN/A1,0721,7224,9448,076
2011-10-13$35.36$33.0046.1%13.2%42.9%48.8%56.5%12.3%-0.4%267.3K-4.5M-28.1K1.1822.58N/AN/A2002364,9928,940
2011-10-14$35.74$33.0041.9%12.0%42.9%42.1%45.9%12.3%1.8%323.5K-5.5M-25.4K0.1623.73N/AN/A604954,8268,949
2011-10-17$34.60$34.0044.8%12.8%43.5%46.7%44.6%16.0%1.5%560.4K-2.7M-26.2K0.9724.31N/AN/A1401365,2867,679
2011-10-18$35.27$34.0044.8%12.8%43.8%46.8%47.8%13.2%0.7%494.5K-4.8M-25.2K0.4827.68N/AN/A2921405,2197,727
2011-10-19$34.42$34.0048.0%13.8%42.4%51.9%54.9%16.1%-0.0%617.7K-1.5M-24.3K0.0825.90N/AN/A743615,0997,755
2011-10-20$34.20$34.0047.7%13.7%40.1%51.4%51.7%16.6%-0.1%1.1M-998.2K-22.7K0.5825.60N/AN/A5293055,4547,757
2011-10-21$35.15$34.0045.2%13.0%40.1%47.4%45.0%13.2%-0.9%1.8M-7.9M-21.6K0.2827.01N/AN/A6351815,4147,860
2011-10-24$35.60$34.0043.3%12.4%38.8%44.4%45.2%11.0%-0.1%-85.1K515.1K-18.7K1.3429.75N/AN/A3034071,2892,527
2011-10-25$34.91$35.0045.8%13.1%39.3%48.4%47.4%10.4%0.1%-103.9K1.0M-21.5K16.0031.26N/AN/A4641,5762,903
2011-10-26$35.32$35.0045.7%13.1%38.6%48.3%47.9%13.2%-0.8%-103.4K779.4K-21.3K0.9130.54N/AN/A32291,5782,935
2011-10-27$37.99$35.0040.9%11.7%44.5%40.4%41.2%3.7%-0.9%-62.1K-1.7M-19.3K0.1559.43N/AN/A1,0341581,6102,951
2011-10-28$37.26$35.0039.7%11.4%43.7%38.4%37.7%10.7%-0.1%27.7K-3.4M-24.3K17.8053.39N/AN/A5892,6363,053
2011-10-31$35.24$35.0044.9%12.9%45.6%46.8%43.5%10.1%-2.1%-3.4K-653.3K-25.1K0.0847.73N/AN/A668512,6383,114